Now when they heard this, they were pricked in their heart, and said unto Peter and to the rest of the apostles, Men and brethren, what shall we do? -- Acts 2:37 (KJV)
Gladly. Luke puts that word near the end of the account: "they that gladly received his word were baptized." The same people who were pricked in their heart a few verses earlier went to the water glad.
Before the Question
Watch the order. They heard, they were pricked, and then they asked. Nobody in that crowd decided to feel conviction and worked up to it. Peter preached Jesus crucified and raised, and the word went in.
That helps on mornings you open the Bible and feel nothing. Conviction is not a mood you must produce before God will deal with you. He sends it through His word, by His Spirit, at the hour He chooses. Your part is to stay where His word is being spoken.
It helps, too, when the word does land. A verse you have read for years stops you cold. You see that you have been short with someone at home, or loose with the truth, or nursing a grudge you called caution. That sting is not God pushing you away. It is His mercy getting your attention.
An Answer They Could Obey
Peter did not leave the crowd holding its guilt. He gave them an answer with a name in it: "Repent, and be baptized every one of you in the name of Jesus Christ for the remission of sins, and ye shall receive the gift of the Holy Ghost."
Repentance, baptism in Jesus' name and the gift of the Holy Ghost stand in one sentence, and Peter kept them there. He kept urging them with many other words. Nobody waited for a better week. "The same day there were added unto them about three thousand souls."
Guilt by itself circles back on you. Conviction moves toward obedience. If something in Scripture has pressed on you lately, do not file it away as a bad feeling. Ask the Lord what you should do, and do the next plain thing He shows you. If you have never obeyed Acts 2:38, talk with your pastor this week.
The sting is real. So is the gladness on the far side of obeying.